How can a light cone (volumetric) be setup with cycles?
In real life these effects are caused by particles in the air such as water droplets, which reflect and scatter light. Usually these effects are only clearly visible when there is not a lot of other light sources, such as at night.

In your case it looks like you are going for a more non-photorealistic look, so you may want to give up on trying to simulate the scattering and just use an emission shader.


Add some cones to act as the light sources.
Note that they shouldn't intersect or contain non-manifold goemtry. If you want to intersect them, use a boolean modifier or a remesh modifier to make the final geometry intersection free.


Add some nodes with a horizontal gradient to fade the intensity of the emitted light out before the hard edge at the end of the cone. Note that this particular mapping setup assumes that the origin of the cone is at the point, and that the rotation is not applied.



In this example I also made it so the cone material doesn't illuminate other objects, as I wanted to do the illumination only with spot lamps to further reduce noise. The last mix shader is optional.


There are some limitations, for instance there are no volumetric shadows. But not too bad for converging in about 20 samples :)